His current set is no exception, and goes under the nifty heading The Man With The Flaming Battenberg Tattoo, which is out on DVD on Monday.
To mark the release, Digital Spy got in touch with Rhod to chat comedy, radio and the Royal Variety Performance.
Do you come up with the names of your tours before or after they're written?
"It varies to be honest. With this one it came half-way through writing it. There were other titles knocking around, but this was always the front-runner. The Award-Winning Mince Pie I think I came up with that first. It varies. I do like a nice title!"
They're important - you do judge a DVD by its cover.
"I'm not sure if it works for or against me. Sometimes I look on the shelves at things that say so-and-so LIVE. I sometimes think that's implicit. It probably works for the DVD market, because DVDs are largely gifting and I think people quite like something simple to take off the shelf. When you look at something, 'The Cat That Looked Like Nicholas Lyndhurst, oh Christ, forget about that'."
Why is there this belief that comedy DVDs only sell at Christmas?
"I imagine, bitter experience! I think the figures are something like 80% are sold at Christmas. If you look at the sales for anyone's DVDs - comedy certainly - they will be massive at Christmas and pretty much on Boxing Day be in a bargain bin! The sales trickle in the rest of the year, but it's a real trickle."
How different is the new set - do you try to have a progression?
"Mine sort of follow on from each other. They're kind of self-contained, one works without the others but they are about my life at that time. They are a chapter one, chapter two, chapter three sort of thing, but they are all separate stories. It's me again and that's the person I am, is this contrary, argumentative, whinging sod. It's me having a go at all sorts of things. I'm calming down a bit and that's reflected in the DVD."
As you play bigger venues does that change how you approach doing your sets?
"I've made a conscious decision and one that took some time not to do arenas. I'm doing the Cardiff one at the end of this tour but that's much smaller than all the others and I can make it intimate. But I'm doing 122 dates on this tour, and 120 are in theatres or city halls or whatever. I've made a decision to do this in eight months rather than do it in three weeks in arenas.
"I could have hit the same amount of people and made the same amount of money probably! But that's because I think my stuff is better suited to the relative intimacy of a large theatre, and I think it's a more rewarding experience all round for everyone."
Do you have to mix it up a bit each night to keep it fresh for yourself?
"You do, yeah. Broadly, I start it off as a two-and-a-half-hour show, and I try to get it down to an hour 45. I will drop some bits in and some bits out. I will drop a whole 15 minute section for a few weeks or a few months, and then put some of it back in, or all of it back in and drop something else out.
"Mine's a story so it's broadly the same show. Things improve, you improvise bits on the night and think 'I must put that in again'... Once you get 1,500 people in a room who are really excited and you feel that when you walk on stage, you forget that you've done it all those times, and you look to make it as good as you can on that night."
You said last time we spoke that you may one day go into teaching - have you thought more about that?
"I want to cherry pick the aspects of teaching that I love and the aspects that I love is teaching. The part I hate is the way that it's politicised and fiddled with and league tabled and the pressure on schools from parents and from politicians."
You're doing the Royal Variety Performance again - are you a royalist or is it just a good gig?
"I'm not a royalist. I have mixed views on the whole topic! But in terms of a gig and a fun thing to do... it's a challenge as much as anything. It's a nervewracking experience. It's a huge bumshaking, heart-stopping experience. It's a challenge and one that my personality can't turn down."
How hard is it to adapt or cherry-pick the material for that sort of show?
"It's a very, very different audience. They're not there to see you. They're not your people. It went well last time [in 2008] but that means nothing. I'm in the process now of trying to pick the piece of material and how to adapt it. Then it's a question of trying it out in that form somehow. I'll go down to The Comedy Store in London or somewhere and try it out as a piece and see if it works... it's terrifying. I'm going to make sure I don't have a go at the Queen like I had a go at Prince Charles last time!"
You used to do a music and comedy show on radio - have you thought of pitching that at TV?
"I've never given that a moment's thought to be honest. We didn't do another series of that. I wrote that idea on a back of a fag packet, we may revisit it one day. I didn't have any ideas for a second series so we shied away from doing it. But it might come back in some form on radio, but I've never given any thought to developing it for TV."
Is there a place for more comedy on Radio 1, like when Chris Morris had his show?
"Do you know what? You're asking the wrong person. I'm 44, I haven't listened to Radio 1 for bloody ages. I listen to 6, 4, 2 in that order. I haven't listened to Radio 1 for so long. I couldn't tell you if their schedule is full of comedy or if they never have anything. I haven't listened to it for 20 years probably. I certainly think that live comedy on radio is my favourite thing.
"My Radio Wales show, live. Me dicking about with a mate, no preparation, sticking records on. That is my favourite thing that I do, and long may it continue. There's nothing better than having a mate and chatting in a studio and trying to get funny stuff out of nothing other than listener correspondence. Playing a record when you want to. It's just a joy. Radio's my favourite thing."
The Man With The Flaming Battenberg Tattoo is on sale on November 19 and available to pre-order now.